Option calibration

ANALYSIS OF CREDIT RATING EQUIT” INDEXES: VOLATILITY COMPARISONS A OPTION CALIBRATION The positive correlation between choice and performance seems to result entirely from the omission of students’ background characteristics; when they are included in Column C, the coefficient becomes negative and significant.

246p mualan_mualan 25-02-2013 55 10   Download

The long-awaited sequel to the "Concepts and Practice of Mathematical Finance" has now arrived. Taking up where the first volume left off, a range of topics is covered in depth. Extensive sections include portfolio credit derivatives, quasi-Monte Carlo, the calibration and implementation of the LIBOR market model, the acceleration of binomial trees, the Fourier transform in option pricing and much more. Throughout Mark Joshi brings his unique blend of theory, lucidity, practicality and experience to bear on issues relevant to the working quantitative analyst....

0p baobinh1311 25-09-2012 87 20   Download